CBL Options History — October 2015

In October 2015, CBL traded between $13.57 and $15.47. ATM implied volatility averaged 25.6%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 1.4% (HV 20d: 27.0%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.69.

Notable Days

  • 2015-10-02: Highest Volume — 1,335 contracts
  • 2015-10-12: Largest IV spike — 30.7% change
  • 2015-10-06: Highest IV Rank — 26.1%
  • 2015-10-01: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.68$13.57$15.47$13.79$14.60
Max Pain$12.27$10.00$12.50$10.00$12.50
ATM IV25.6%18.4%37.4%32.9%19.1%
Expected Move6.8%5.3%9.4%9.4%5.5%
HV 20d27.0%21.0%29.3%26.1%28.7%
HV 60d26.4%24.5%28.7%24.5%28.4%
IV Rank14.4%7.1%26.1%21.7%7.9%
IV Percentile62.0%6.7%93.3%88.9%12.7%
Term Structure1.1%-2.1%10.6%3.2%0.4%
VWIV24.4%18.3%33.1%33.1%19.5%
Skew 25d10.8%-4.9%95.6%6.5%2.8%
Skew 10d17.5%-8.3%131.9%6.9%5.5%
Call IV 25d24.3%16.9%29.3%26.5%22.7%
Put IV 25d35.2%23.4%119.5%33.0%25.5%
Bid-Ask Spread %63.1515.23101.7664.7324.08
Gamma HHI0.720.640.800.800.71
Net GEX199.5K131.3K247.8K135.5K228.1K
Net DEX-2.3M-4.1M-775.8K-775.8K-1.8M
Net VEX-20.6K-23.1K-15.3K-15.3K-20.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.152.810.300.51
Total Volume691.409881,335522674
Total OI9,137.6827,4619,9737,4619,973

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$13.79$10.0032.9%9.4%26.1%21.7%33.1%6.5%3.2%135.5K-775.8K-15.3K0.3064.73N/AN/A4001225,9581,503
2015-10-02$13.57$10.0024.8%7.1%26.3%13.5%24.8%-0.5%3.4%131.3K-956.1K-17.4K0.5215.23N/AN/A8804555,9581,846
2015-10-05$13.91$12.5030.9%5.3%27.3%19.7%0.0%17.4%10.6%143.4K-1.0M-17.3K0.7663.69N/AN/A50386,4781,845
2015-10-06$14.21$12.5037.4%6.8%28.2%26.1%25.6%5.0%1.6%165.7K-1.4M-18.9K0.1763.18N/AN/A396666,5011,876
2015-10-07$14.54$12.5029.3%7.3%27.9%18.0%25.7%7.0%0.9%187.8K-2.1M-20.2K0.5327.03N/AN/A6313356,5111,887
2015-10-08$14.83$12.5028.0%7.1%28.7%16.8%24.7%79.4%1.1%201.4K-2.8M-21.1K0.1533.93N/AN/A532806,6182,119
2015-10-09$14.79$12.5023.5%6.8%28.1%12.3%26.1%2.0%-1.0%224.4K-2.8M-20.8K0.1730.21N/AN/A462786,5812,119
2015-10-12$14.88$12.5030.7%7.4%28.1%19.5%25.6%-3.2%-2.1%231.0K-2.8M-18.5K0.2598.43N/AN/A403996,5362,116
2015-10-13$14.78$12.5026.5%7.3%28.1%15.3%25.6%1.5%-2.0%217.6K-2.7M-20.4K0.3736.42N/AN/A4031516,5362,137
2015-10-14$14.66$12.5025.0%7.2%28.0%13.8%25.5%5.5%-1.1%207.7K-2.5M-20.9K0.5388.53N/AN/A4482366,5362,453
2015-10-15$14.53$12.5021.9%6.3%28.1%10.7%20.3%-1.2%-1.3%212.3K-2.1M-21.3K0.5342.33N/AN/A4482366,6422,558
2015-10-16$14.64$12.5023.2%6.7%27.9%12.0%23.2%95.6%1.7%195.0K-2.1M-20.8K2.1676.64N/AN/A3848296,5422,558
2015-10-19$14.81$12.5023.7%6.8%27.4%12.5%23.8%-1.0%1.5%191.1K-2.1M-22.8K2.81101.76N/AN/A2958286,4163,250
2015-10-20$15.11$12.5024.0%6.9%27.9%12.8%23.9%-3.3%-1.4%232.3K-2.8M-22.8K0.1998.17N/AN/A6671246,4413,250
2015-10-21$15.06$12.5021.6%6.2%27.9%10.4%21.8%7.8%-0.2%247.8K-3.1M-22.1K0.7198.03N/AN/A3912776,5673,310
2015-10-22$15.14$12.5024.8%7.1%27.4%13.5%26.3%8.0%-1.8%220.6K-3.1M-23.1K0.71100.06N/AN/A3912776,4603,452
2015-10-23$14.90$12.5022.6%6.5%27.8%11.3%23.1%7.4%1.8%201.2K-2.7M-22.4K0.7079.51N/AN/A3932776,4263,452
2015-10-26$14.94$12.5024.4%7.0%21.3%13.2%24.6%-4.9%-0.4%215.0K-2.5M-22.0K0.9094.31N/AN/A3072776,4303,452
2015-10-27$15.06$12.5024.3%7.0%21.0%13.0%24.5%0.1%-0.6%229.6K-2.7M-21.6K0.8370.73N/AN/A3352776,4503,452
2015-10-28$15.47$12.5026.2%7.5%21.5%14.9%26.8%3.3%0.7%181.1K-4.1M-21.9K0.7624.39N/AN/A3572736,4433,452
2015-10-29$14.71$12.5018.4%5.3%29.3%7.1%18.3%3.4%10.2%188.4K-2.4M-21.8K0.5757.91N/AN/A4012286,4873,452
2015-10-30$14.60$12.5019.1%5.5%28.7%7.9%19.5%2.8%0.4%228.1K-1.8M-20.1K0.5124.08N/AN/A4462286,5423,431